Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0890 |
| Annualized Std Dev | 0.2074 |
| Annualized Sharpe (Rf=0%) | 0.4293 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3457.0000 |
| NAs | 1.0000 |
| Minimum | -0.1237 |
| Quartile 1 | -0.0049 |
| Median | 0.0011 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0070 |
| Maximum | 0.0974 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0002 |
| Stdev | 0.0131 |
| Skewness | -0.5862 |
| Kurtosis | 8.1021 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0098 |
| Gain Deviation | 0.0085 |
| Loss Deviation | 0.0108 |
| Downside Deviation (MAR=210%) | 0.0142 |
| Downside Deviation (Rf=0%) | 0.0096 |
| Downside Deviation (0%) | 0.0096 |
| Maximum Drawdown | 0.5449 |
| Historical VaR (95%) | -0.0208 |
| Historical ES (95%) | -0.0329 |
| Modified VaR (95%) | -0.0210 |
| Modified ES (95%) | -0.0440 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-10-12 | 2009-03-09 | 2013-02-01 | -0.5449 | 1326 | 350 | 976 |
| 2020-02-20 | 2020-03-23 | 2020-07-08 | -0.3466 | 97 | 23 | 74 |
| 2018-09-17 | 2018-12-24 | 2019-06-20 | -0.2477 | 191 | 69 | 122 |
| 2015-08-19 | 2016-02-08 | 2016-07-08 | -0.1533 | 224 | 119 | 105 |
| 2021-02-16 | 2021-03-08 | NA | -0.1332 | 25 | 15 | NA |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | -1 | 0.9 | -2.2 | 1 | 0.3 | -2.1 | 0.1 | -1.1 | -4 |
| 2008 | 1.5 | -3.2 | 2.9 | 0.2 | 0.4 | -0.6 | -1.3 | -0.5 | -1.4 | 2.2 | -6.1 | 3.3 | -3.1 |
| 2009 | -1.4 | -0.4 | 0 | -0.4 | 4.1 | 1 | 0.4 | -1.3 | -2.5 | -2.7 | 1.3 | -0.8 | -2.9 |
| 2010 | 2.1 | 2.3 | 0.9 | -2.4 | -2.2 | 0 | 0.4 | 3.1 | 0.3 | 0 | 2.2 | -0.3 | 6.5 |
| 2011 | 1.5 | -1.8 | 0.4 | 0.4 | -2.2 | 1.6 | -0.6 | -1.1 | -2.8 | -2.1 | 0.1 | -0.8 | -7.2 |
| 2012 | 1 | 0.5 | 0.4 | 0.7 | -3.4 | 3 | -0.7 | 0.5 | 0.1 | 1.2 | -0.1 | 1.8 | 5 |
| 2013 | 0.9 | 0.3 | -0.9 | -0.9 | -1.4 | 0.3 | 1.6 | -0.5 | 0.8 | 0.2 | -0.2 | 0.4 | 0.7 |
| 2014 | -0.5 | 0.1 | 1.3 | 0.1 | 0.2 | 1.2 | 0.1 | 0.4 | -1.5 | 1.4 | -1.1 | -0.9 | 0.9 |
| 2015 | -2 | -0.1 | -0.8 | 1.6 | 0.4 | 0.8 | 0.1 | -2.8 | 0.6 | -0.2 | 1.1 | -1 | -2.3 |
| 2016 | 0.6 | 2.2 | 1 | -0.5 | 0.1 | 0.2 | -0.2 | 0 | 0.4 | -0.8 | -1.9 | -0.7 | 0.4 |
| 2017 | -0.3 | 1.3 | -0.1 | 0.5 | 0.9 | 0.5 | 0.1 | 0 | 0.8 | -0.4 | -0.5 | -0.3 | 2.6 |
| 2018 | 0 | -1.3 | 2.1 | 0.2 | 1.6 | 0.4 | -0.1 | 0.1 | 0.3 | 1.3 | 0.5 | 1.3 | 6.6 |
| 2019 | 0.4 | 0.7 | 1 | -1.3 | -0.8 | 0.8 | -0.6 | -0.5 | -1.3 | 0.2 | -0.5 | 0.2 | -1.8 |
| 2020 | -1.7 | -0.7 | -5.2 | -2.7 | 0.6 | 1.1 | 0.3 | 1.1 | 1.3 | -2.7 | 0.1 | 0.1 | -8.3 |
| 2021 | 1.9 | 3.1 | 1.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.2 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-05-11 29.9 SPY 151. 0.0086 -0.0004 0.0429 0.0481 0.138 0.386 0.400 GLD 66.4 6.80e-3 -0.0255
2 2007-05-23 30.4 SPY 152. 0.0001 0.0055 0.0292 0.045 0.209 0.391 0.402 GLD 65.5 4.90e-3 -0.0009
3 2007-05-24 30.1 SPY 151. -0.0091 -0.0016 0.0106 0.0396 0.207 0.376 0.387 GLD 64.8 -1.21e-2 -0.00480
4 2007-06-05 30.6 SPY 153. -0.004 0.0082 0.017 0.0987 0.190 0.357 0.471 GLD 66.4 -2.60e-3 0.02
5 2007-06-06 30.3 SPY 152. -0.0107 -0.0107 0.0059 0.088 0.194 0.355 0.451 GLD 66.4 6.00e-4 0.0261
6 2007-06-07 29.8 SPY 149. -0.018 -0.0275 -0.0109 0.0594 0.176 0.320 0.412 GLD 65.3 -1.73e-2 -0.0043
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
